Mini Cooper S with step-tronic making strange noise.

I just bought a 2007 Mini Cooper S (50k mil) with step-tronic. when I hit the gas pedal it is making noise, like ship horn, pulling noise with lack of power. When I take foot off the gas pedal, its not making any noise, its very annoying, am I damaging the car while driving this way, I am thinking to take it to dealer, Any clue, please help.